Pricing multi-asset American options on Graphics Processing Units using a PDE approach

Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2010). Pricing multi-asset American options on Graphics Processing Units using a PDE approach. In: Matthew Dixon , David Daly, Maria Eleftheriou , Jose Moreira and Kyung Ryu , Proceedings of the 3rd Workshop on High Performance Computational Finance, WHPCF 2010. 3rd Workshop on High Performance Computational Finance, WHPCF 2010, New Orleans, LA United States, (). 14 November 2010. doi:10.1109/WHPCF.2010.5671831


Author Dang, Duy-Minh
Christara, Christina C.
Jackson, Kenneth R.
Title of paper Pricing multi-asset American options on Graphics Processing Units using a PDE approach
Conference name 3rd Workshop on High Performance Computational Finance, WHPCF 2010
Conference location New Orleans, LA United States
Conference dates 14 November 2010
Proceedings title Proceedings of the 3rd Workshop on High Performance Computational Finance, WHPCF 2010
Journal name Proceedings of the 3rd Workshop on High Performance Computational Finance, WHPCF 2010
Place of Publication Piscataway, NJ United States
Publisher I E E E
Publication Year 2010
Year available 2010
Sub-type Fully published paper
DOI 10.1109/WHPCF.2010.5671831
ISBN 9781424490615
Editor Matthew Dixon 
David Daly
Maria Eleftheriou 
Jose Moreira
Kyung Ryu 
Total pages 8
Chapter number 3
Total chapters 11
Language eng
Abstract/Summary We develop highly efficient parallel pricing methods on Graphics Processing Units (GPUs) for multi-asset American options via a Partial Differential Equation (PDE) approach. The linear complementarity problem arising due to the free boundary is handled by a penalty method. Finite difference methods on uniform grids are considered for the space discretization of the PDE, while classical finite differences, such as Crank-Nicolson, are used for the time discretization. The discrete nonlinear penalized equations at each timestep are solved using a penalty iteration. A GPU-based parallel Alternating Direction Implicit Approximate Factorization technique is employed for the solution of the linear algebraic system arising from each penalty iteration. We demonstrate the efficiency and accuracy of the parallel numerical methods by pricing American options written on three assets.
Subjects 1701 Psychology
2001 Communication and Media Studies
Keyword Alternating Direction Implicit Approximate Factorization
American option
Finite difference
Graphics Processing Units
Multi asset
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Conference Paper
Collection: School of Mathematics and Physics
 
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Created: Wed, 01 Oct 2014, 21:35:54 EST by Kay Mackie on behalf of School of Mathematics & Physics